Merge pull request #415 from StratThinker/correlation

Correlation

src/Numerics/Statistics/Correlation.cs

@@ -146,9 +146,8 @@ namespace MathNet.Numerics.Statistics
                     meanB += rY;
                     varB += sumWeight*deltaY*rY;
 
+                    covariance += deltaX*deltaY*wi*(sumWeight/temp);
                     sumWeight = temp;
-
-                    covariance += deltaX*deltaY*(n - 1)*wi/n;
                 }
                 if (ieB.MoveNext())
                 {

src/UnitTests/StatisticsTests/CorrelationTests.cs

@@ -104,6 +104,36 @@ namespace MathNet.Numerics.UnitTests.StatisticsTests
             AssertHelpers.AlmostEqual(corr, corr2, 14);
         }
 
+        /// <summary>
+        /// Correlation between two identical data sets should always equal one,
+        /// regardless of the weights used.
+        /// </summary>
+        [Test]
+        public void WeightedPearsonCorrelationEqualsOneTest()
+        {
+            int n = 5;
+            double maxWeight = 1e5;
+            var dataA = Generate.LinearRange(1, n);
+            var dataB = Generate.LinearRange(1, n);
+            var weights1 = Generate.LinearRange(1, n);
+            var weights2 = Generate.LogSpaced(n, 1, 5);
+            var weights3 = Generate.LogSpaced(n, 5, 1);
+            var weights4 = Generate.Repeat(n, maxWeight);
+            var weights5 = Generate.Repeat(n, 1/maxWeight);
+
+            var corr1 = Correlation.WeightedPearson(dataA, dataB, weights1);
+            var corr2 = Correlation.WeightedPearson(dataA, dataB, weights2);
+            var corr3 = Correlation.WeightedPearson(dataA, dataB, weights3);
+            var corr4 = Correlation.WeightedPearson(dataA, dataB, weights4);
+            var corr5 = Correlation.WeightedPearson(dataA, dataB, weights5);
+
+            AssertHelpers.AlmostEqual(corr1, 1, 14);
+            AssertHelpers.AlmostEqual(corr2, 1, 14);
+            AssertHelpers.AlmostEqual(corr3, 1, 14);
+            AssertHelpers.AlmostEqual(corr4, 1, 14);
+            AssertHelpers.AlmostEqual(corr5, 1, 14);
+        }
+
         /// <summary>
         /// Pearson correlation test fail.
         /// </summary>